A moments and strike matching binomial algorithm for pricing American put options
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Publication:940997
DOI10.1007/s10203-007-0077-5zbMath1143.91019OpenAlexW1983945055MaRDI QIDQ940997
Benjamin Jourdain, Antonino Zanette
Publication date: 4 September 2008
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://hal.inria.fr/inria-00070437/file/RR-5569.pdf
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Cites Work
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- Error estimates for the binomial approximation of American put options
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- Approximation of American put prices by European prices via an embedding method.
- New insights on testing the efficiency of methods of pricing and hedging American options
- Asymptotics of the price oscillations of a European call option in a tree model
- Option pricing: A simplified approach
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